Abstract
This paper examines the spillover of green bond with metal market and bullion market using the daily observation from 16/06/2014 to 25/02/2022. The S&P Green Bond (GBD) is used to measure the Green bond while Copper (CPR) and Aluminium (ALM) are used to represent the metal market; the bullion market is measured by Silver (SLV) and Gold (GLD). The result reveals that there is spillover from Green bond to Aluminium, Silver and Gold both in the short run and long while the spillover of Green bond with Copper is only spotted in long run. It furnishes diversification opportunities considering Green bond and Copper in short run due to its absence of spillover. This study offers an implication to various stakeholder of the metal and bullion market.
This is a preview of subscription content, log in via an institution to check access.
Similar content being viewed by others
References
Abbass, K., Qasim, M. Z., Song, H., Murshed, M., Mahmood, H., & Younis, I. (2022). A review of the global climate change impacts, adaptation, and sustainable mitigation measures. Environmental Science and Pollution Research, 29(28), 42539–42559. https://doi.org/10.1007/s11356-022-19718-6
Abuzayed, B., & Al-Fayoumi, N. (2023). Diversification and hedging strategies of green bonds in financial asset portfolios during the COVID-19 pandemic. Applied Economics, 55(36), 4228–4238. https://doi.org/10.1080/00036846.2022.2128178
Adekoya, O. B. (2021). Revisiting oil consumption-economic growth nexus: Resource-curse and scarcity tales. Resources Policy, 70, 101911. https://doi.org/10.1016/j.resourpol.2020.101911
Adekoya, O. B., & Oliyide, J. A. (2020). The hedging effectiveness of industrial metals against different oil shocks: Evidence from the four newly developed oil shocks datasets. Resources Policy, 69, 101831. https://doi.org/10.1016/j.resourpol.2020.101831
Adekoya, O. B., & Oliyide, J. A. (2021). How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques. Resources Policy, 70, 101898. https://doi.org/10.1016/j.resourpol.2020.101898
Aggarwal, R., & Lucey, B. M. (2007). Psychological barriers in gold prices? Review of Financial Economics, 16(2), 217–230.
Ahmad, W., & Rais, S. (2018). Time-varying spillover and the portfolio diversification implications of clean energy equity with commodities and financial assets. Emerging Markets Finance and Trade, 54(8), 1837–1855. https://doi.org/10.1080/1540496X.2018.1467314
Akhtaruzzaman, M., Boubaker, S., Lucey, B. M., & Sensoy, A. (2021). Is gold a hedge or a safe-haven asset in the COVID–19 crisis? Economic Modelling, 102, 105588.
Arif, M., Naeem, M. A., Farid, S., Nepal, R., & Jamasb, T. (2022). Diversifier or more? Hedge and safe haven properties of green bonds during COVID-19. Energy Policy, 168, 113102. https://doi.org/10.1016/j.enpol.2022.113102
Ashok, S., Corbet, S., Dhingra, D. G., John, K. S., & Yadav, M. P. (2022). Are energy markets informationally smarter than equity markets? Evidence from the COVID-19 experience. Finance Research Letters. https://doi.org/10.1016/j.frl.2022.102728
Asl, M. G., Canarella, G., & Miller, S. M. (2021). Dynamic Asymmetric optimal portfolio allocation between energy stocks and energy commodities: Evidence from clean energy and oil and gas companies. Resources Policy, 71, 101982. https://doi.org/10.1016/j.resourpol.2020.101982
Bachelet, M., Becchetti, L., & Manfredonia, S. (2019). The green bonds premium puzzle: The role of issuer characteristics and third-party verification. Sustainability, 11, 1098. https://doi.org/10.3390/su11041098
Baruník, J., & Křehlík, T. (2018). Measuring the frequency dynamics of financial connectedness and systemic risk*. Journal of Financial Econometrics, 16(2), 271–296. https://doi.org/10.1093/jjfinec/nby001
Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886–1898.
Baur, D. G., & McDermott, T. K. J. (2016). Why is gold a safe haven? Journal of Behavioral and Experimental Finance, 10, 63–71.
Broadstock, D. C., & Cheng, L. T. W. (2019). Time-varying relation between black and green bond price benchmarks: Macroeconomic determinants for the first decade. Finance Research Letters, 29, 17–22. https://doi.org/10.1016/j.frl.2019.02.006
Buriev, A. A., Dewandaru, G., Zainal, M.-P., & Masih, M. (2018). Portfolio diversification benefits at different investment horizons during the Arab uprisings: Turkish perspectives based on MGARCH–DCC and wavelet approaches. Emerging Markets Finance and Trade, 54(14), 3272–3293. https://doi.org/10.1080/1540496X.2017.1362555
Chang, L., Moldir, M., Zhang, Y., & Nazar, R. (2023). Asymmetric impact of green bonds on energy efficiency: Fresh evidence from quantile estimation. Utilities Policy, 80, 101474. https://doi.org/10.1016/j.jup.2022.101474
Chatziantoniou, I., Abakah, E. J. A., Gabauer, D., & Tiwari, A. K. (2022). Quantile time-frequency price connectedness between green bond, green equity, sustainable investments and clean energy markets. Journal of Cleaner Production, 361, 132088. https://doi.org/10.1016/j.jclepro.2022.132088
Cheong, C., & Choi, J. (2020). Green bonds: A survey. Journal of Derivatives and Quantitative Studies: 선물연구, 28(4), 175–189. https://doi.org/10.1108/JDQS-09-2020-0024
Chopra, M., & Mehta, C. (2023). Going green: Do green bonds act as a hedge and safe haven for stock sector risk? Finance Research Letters, 51, 103357. https://doi.org/10.1016/j.frl.2022.103357
Cui, M., Wong, W.-K., Wisetsri, W., Mabrouk, F., Muda, I., Li, Z., & Hassan, M. (2023). Do oil, gold and metallic price volatilities prove gold as a safe haven during COVID-19 pandemic? Novel evidence from COVID-19 data. Resources Policy, 80, 103133.
Dutta, A., Das, D., Jana, R. K., & Vo, X. V. (2020). COVID-19 and oil market crash: Revisiting the safe haven property of gold and bitcoin. Resources Policy, 69, 101816. https://doi.org/10.1016/j.resourpol.2020.101816
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. https://doi.org/10.2307/1912773
Fatica, S., & Panzica, R. (2021). Green bonds as a tool against climate change? Business Strategy and the Environment, 30(5), 2688–2701. https://doi.org/10.1002/bse.2771
Flaherty, M., Gevorkyan, A., Radpour, S., & Semmler, W. (2017). Financing climate policies through climate bonds – A three stage model and empirics. Research in International Business and Finance, 42, 468–479. https://doi.org/10.1016/j.ribaf.2016.06.001
Flammer, C. (2021). Corporate green bonds. Journal of Financial Economics, 142(2), 499–516. https://doi.org/10.1016/j.jfineco.2021.01.010
Fu, W., Abbass, K., Niazi, A. A. K., Zhang, H., Basit, A., & Qazi, T. F. (2023). Assessment of sustainable green financial environment: The underlying structure of monetary seismic aftershocks of the COVID-19 pandemic. Environmental Science and Pollution Research, 30(22), 61496–61510. https://doi.org/10.1007/s11356-022-20178-1
Goodell, J. W., Corbet, S., Yadav, M. P., Kumar, S., Sharma, S., & Malik, K. (2022). Time and frequency connectedness of green equity indices: Uncovering a socially important link to bitcoin. International Review of Financial Analysis, 84, 102379. https://doi.org/10.1016/j.irfa.2022.102379
Goodell, J. W., Yadav, M. P., Ruan, J., Abedin, M. Z., & Malhotra, N. (2023). Traditional assets, digital assets and renewable energy: Investigating connectedness during COVID-19 and the Russia-Ukraine War. Finance Research Letters, 58, 104323. https://doi.org/10.1016/j.frl.2023.104323
Jaffar, Y., Dewandaru, G., & Masih, M. (2018). Exploring portfolio diversification opportunities through venture capital financing: Evidence from MGARCH-DCC, Markov switching, and wavelet approaches. Emerging Markets Finance and Trade, 54(6), 1320–1336. https://doi.org/10.1080/1540496X.2016.1277420
Kanamura, T. (2020). Are green bonds environmentally friendly and good performing assets? Energy Economics, 88, 104767. https://doi.org/10.1016/j.eneco.2020.104767
Kapraun, J., Latino, C., Scheins, C., & Schlag, C. (2021). “At a Green Bond Premium? *.”
Khera, A., & Yadav, M. P. (2020). Predicting the volatility in stock return of emerging economy: An empirical approach. Theoretical and Applied Economics, 4(625), 233–244.
Khera, A., Goyal, A., & Yadav, M. P. (2022). Capturing the Stock market Volatility: A study of Sectoral Indices in India using symmetric GARCH Models. International Journal of Management Practice, 15(6), 820–833.
Le, T. N., Abakah, E. J. A., & Tiwari, A. K. (2021). Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution. Technological Forecasting and Social Change, 162, 120382. https://doi.org/10.1016/j.techfore.2020.120382
Leitao, Joao, Ferreira, Joaquim, & Santibanez-gonzalez, Ernesto. (2021). Green bonds, sustainable development and environmental policy in the European Union carbon market. Business Strategy and the Environment, 30(4), 2077–90. https://doi.org/10.1002/bse.2733
Liu, M. (2022). The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic. Economic Analysis and Policy, 75, 288–309. https://doi.org/10.1016/j.eap.2022.05.012
Liu, N., Liu, C., Da, B., Zhang, T., & Guan, F. (2021). Dependence and risk spillovers between green bonds and clean energy markets. Journal of Cleaner Production, 279, 123595. https://doi.org/10.1016/j.jclepro.2020.123595
Lucey, B. M., Sharma, S. S., & Vigne, S. A. (2017). Gold and inflation(s) – A time-varying relationship. Economic Modelling, 67, 88–101. https://doi.org/10.1016/j.econmod.2016.10.008
Malhotra, G., Yadav, M. P., Tondon, P., & Sinha, N. (2023). An investigation on dynamic connectedness of commodity market with financial market during the Russia-Ukriane invasion. Benchmarking: An international Journal. https://doi.org/10.1108/BIJ-11-2022-0727
Mensi, W., Rehman, M. U., Hammoudeh, S., & Vo, X. V. (2021). Spillovers between natural gas, gasoline, oil, and stock markets: Evidence from MENA countries. Resources Policy, 71, 101983. https://doi.org/10.1016/j.resourpol.2020.101983
Mensi, W., Vo, X. V., Ko, H.-U., & Kang, S. H. (2023). Frequency spillovers between green bonds, global factors and stock market before and during COVID-19 crisis. Economic Analysis and Policy, 77, 558–580. https://doi.org/10.1016/j.eap.2022.12.010
Mohammed, K. S., Usman, M., Ahmad, P., & Bulgamaa, U. (2023). Do all renewable energy stocks react to the war in Ukraine? Russo-Ukrainian conflict perspective. Environmental Science and Pollution Research, 30(13), 36782–36793. https://doi.org/10.1007/s11356-022-24833-5
Murshed, M., Abbass, K., & Rashid, S. (2021). Modelling renewable energy adoption across South Asian economies: Empirical evidence from Bangladesh, India, Pakistan and Sri Lanka. International Journal of Finance & Economics, 26(4), 5425–5450. https://doi.org/10.1002/ijfe.2073
Naeem, M. A., Adekoya, O. B., & Oliyide, J. A. (2021). Asymmetric spillovers between green bonds and commodities. Journal of Cleaner Production, 314, 128100.
Naeem, M. A., Rabbani, M. R., Karim, S., & Billah, S. M. (2023). Religion vs ethics: Hedge and safe haven properties of Sukuk and green bonds for stock markets pre- and during COVID-19. International Journal of Islamic and Middle Eastern Finance and Management, 16(2), 234–252. https://doi.org/10.1108/IMEFM-06-2021-0252
Najeeb, S. F., Bacha, O., & Masih, M. (2015). Does heterogeneity in investment horizons affect portfolio diversification? Some insights using M-GARCH-DCC and wavelet correlation analysis. Emerging Markets Finance and Trade, 51(1), 188–208. https://doi.org/10.1080/1540496X.2015.1011531
Nguyen, T. T., Ha, M. A., Naeem, F. B., Balli, H. O., & Vo, X. V. (2021). Time-frequency comovement among green bonds, stocks, commodities, clean energy, and conventional bonds. Finance Research Letters, 40, 101739. https://doi.org/10.1016/j.frl.2020.101739
Ning, Y., Cherian, J., Sial, M. S., Álvarez-Otero, S., Comite, U., & Zia-Ud-Din, M. (2023). Green bond as a new determinant of sustainable green financing, energy efficiency investment, and economic growth: A global perspective. Environmental Science and Pollution Research, 30(22), 61324–61339. https://doi.org/10.1007/s11356-021-18454-7
Pham, L. (2016). Pham, Linh. Journal of Sustainable Finance & Investment, 6(4), 263–291. https://doi.org/10.1080/20430795.2016.1237244
Pham, L. (2021). Frequency connectedness and cross-quantile dependence between green bond and green equity markets. Energy Economics, 98, 105257. https://doi.org/10.1016/j.eneco.2021.105257
Pham, L., Karim, S., Naeem, M. A., & Long, C. (2022). A tale of two tails among carbon prices, green and non-green cryptocurrencies. International Review of Financial Analysis, 82, 102139. https://doi.org/10.1016/j.irfa.2022.102139
Rajwani, S., Tiwari, A., Yadav, M. P., & Sharma, S. (2023). Dynamic linkages of energy commodities with bullion and metal Market: evidence of portfolio hedging. American Business Review, https://doi.org/10.37625/abr.26.148-179
Reboredo, J. C. (2018). Green bond and financial markets: Co-movement, diversification and price spillover effects. Energy Economics, 74, 38–50. https://doi.org/10.1016/j.eneco.2018.05.030
Reboredo, J. C., Ugolini, A., & Aiube, F. A. L. (2020). Network connectedness of green bonds and asset classes. Energy Economics, 86, 104629. https://doi.org/10.1016/j.eneco.2019.104629
Saeed, T., Bouri, E., & Alsulami, H. (2021). Extreme return connectedness and its determinants between clean/green and dirty energy investments. Energy Economics, 96, 105017. https://doi.org/10.1016/j.eneco.2020.105017
Sharma, S., Aggarwal, V., & Yadav, M. P. (2020). Comparison of linear and non-linear GARCH models for forecasting volatility of select emerging countries. Journal of Advances in Management Research. https://doi.org/10.1108/JAMR-07-2020-0152
Sharma, S., Aggarwal, V., Dixit, N., & Yadav, M. (2023). Time and frequency connectedness among emerging markets and QGREEN, FinTech and artificial intelligence-based index: Lessons from the outbreak of COVID-19. Vision-the Journal of Business Perspective. https://doi.org/10.1177/09722629221141553
Shishlov, I., Morel, R., & Cochran, I. (2016). Beyond transparency: Unlocking the full potential of green bonds. I4CE Institute for Climate Economics, 2(32), 1–27
Statista Research Department. (2023). Green bonds worldwide - statistics & facts
Steffen, B., Matsuo, T., Steinemann, D., & Schmidt, T. S. (2018). Opening new markets for clean energy: The role of project developers in the global diffusion of renewable energy technologies. Business and Politics, 20(4), 553–587. https://doi.org/10.1017/bap.2018.17
Su, C.-W., Pang, L.-D., Qin, M., Lobonţ, O.-R., & Umar, M. (2023). The spillover effects among fossil fuel, renewables and carbon markets: Evidence under the dual dilemma of climate change and energy crises. Energy, 274, 127304. https://doi.org/10.1016/j.energy.2023.127304
Tabassum, S., Yadav, M., Yadav, S. A., & Al-Qudah. (2023). Capturing symmetrical and asymmetrical volatility in the energy market: Evidence of COVID outbreak and Russia Ukraine Saga. FIIB Business Review. https://doi.org/10.1177/23197145231176113
Tan, X., Sirichand, K., Vivian, A., & Wang, X. (2020). How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics. Energy Economics, 90, 104870. https://doi.org/10.1016/j.eneco.2020.104870
Tiwari, A. K., Trabelsi, N., Abakah, E. J. A., Nasreen, S., & Lee, C.-C. (2023). An empirical analysis of the dynamic relationship between clean and dirty energy markets. Energy Economics, 124, 106766. https://doi.org/10.1016/j.eneco.2023.106766
Ul Haq, l, Chupradit, S., & Huo, C. (2021). Do green bonds act as a hedge or a safe haven against economic policy uncertainty? Evidence from the USA and China. International Journal of Financial Studies, 9(3), 40. https://doi.org/10.3390/ijfs9030040
Watkins, C., & McAleer, M. (2008). How has volatility in metals markets changed? Mathematics and Computers in Simulation, 78(2), 237–249. https://doi.org/10.1016/j.matcom.2008.01.015
Yadav, M. P., Vasakarla, V., & Arora, M. (2020). Volatility spillover: Equity markets to commodity markets. SCMS Journal of Indian Management, XVII, 3, 103–113.
Yadav, M. P., Bhatia, S., Singh, N., & Islam, T. (2022a). Financial and energy exchange traded funds futures: An evidence of spillover and portfolio hedging. Annals of Operation Research. https://doi.org/10.1007/s10479-022-04538-1
Yadav, M. P., Kumar, S., Mukherjee, D., & Rao, P. (2022b). Do green bonds offer a diversification opportunity during COVID19? An empirical evidence from energy, crypto, and carbon markets. Environmental Science and Pollution Research. https://doi.org/10.1007/s11356-022-22492-0
Yadav, M., Tandon, P., Singh, A., Shore, A., & Gaur, P. (2022c). Exploring time and frequency linkages of green bond with renewable energy and crypto market. Annals of Operations Research. https://doi.org/10.1007/s10479-022-05074-8
Yadav, M. P., Tondon, P., & SinghShoreGaur, A. B. A. P. (2022d). Exploring time and frequency linkages of green bond with renewable energy and crypto market. Annals of Operation Research. https://doi.org/10.1007/s10479-022-05074-8
Yadav, M. P., Sharif, T., Ashok, S., Dhingra, D., & Abedin, M. Z. (2023). Investigating volatility spillover of energy commodities in the context of the Chinese and European stock markets. Research in International Business and Finance, 65, 101948.
Zerbib, O. D. (2019). The effect of pro-environmental preferences on bond prices: Evidence from green bonds. Journal of Banking & Finance, 98, 39–60. https://doi.org/10.1016/j.jbankfin.2018.10.012
Funding
The authors disclose that they did not receive any grants, funding, or any other kind of assistance while preparing this research paper.
Author information
Authors and Affiliations
Corresponding author
Ethics declarations
Disclosure Statement
The authors of this study declare that they have no current or future conflicts of interest in respect to this work’s research, authorship, and publication.
Additional information
Publisher's Note
Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.
Rights and permissions
Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law.
About this article
Cite this article
Panwar, K., Yadav, M.P. & Puri, N. Spillover Effect of Green Bond with Metal and Bullion Market. Asia-Pac Financ Markets (2023). https://doi.org/10.1007/s10690-023-09443-6
Accepted:
Published:
DOI: https://doi.org/10.1007/s10690-023-09443-6